Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538): Difference between revisions

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scientific article; zbMATH DE number 6127877

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English	Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models	scientific article; zbMATH DE number 6127877

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instance of

scholarly article

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title

Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (English)

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zbMATH Open document ID

1255.91410

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DOI

10.1080/00207160.2012.669475

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International Journal of Computer Mathematics

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publication date

22 January 2013

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Mathematics Subject Classification ID

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jump-diffusion model

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American option

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linear complementarity problem

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finite difference method

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iterative method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2012.669475

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Numerical valuation of options with jumps in the underlying

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Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing

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Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

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A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence

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The Pricing of Options and Corporate Liabilities

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Implicit-explicit numerical schemes for jump-diffusion processes

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Financial Modelling with Jump Processes

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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Fast numerical valuation of American, exotic and complex options

0 references

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

0 references

Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions

0 references

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

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Quadratic Convergence for Valuing American Options Using a Penalty Method

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A penalty method for American options with jump diffusion processes

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Robust numerical methods for contingent claims under jump diffusion processes

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A Front-Fixing Finite Element Method for the Valuation of American Options

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Methods for Pricing American Options under Regime Switching

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Operator splitting methods for American option pricing.

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Operator splitting methods for pricing American options under stochastic volatility

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Parabolic variational inequalities: the Lagrange multiplier approach

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Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility

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Variational inequalities and the pricing of American options

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A semilinear equation for the American option in a general jump market

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A Jump-Diffusion Model for Option Pricing

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A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models

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A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models

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A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

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Fast deterministic pricing of options on Lévy driven assets

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Wavelet Galerkin pricing of American options on Lévy driven assets

0 references

Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance

0 references

Option pricing when underlying stock returns are discontinuous

0 references

Front-tracking finite difference methods for the valuation of American options

0 references

Optimal stopping, free boundary, and American option in a jump-diffusion model

0 references

Exponential time integration for fast finite element solutions of some financial engineering problems

0 references

Finite element solution of diffusion problems with irregular data

0 references

Efficient solution of a partial integro-differential equation in finance

0 references

An iterative method for pricing American options under jump-diffusion models

0 references

Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model

0 references

A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

0 references

Numerical Analysis of American Option Pricing in a Jump-Diffusion Model

0 references

An exact and explicit solution for the valuation of American put options

0 references

A spectral element method to price European options. I. Single asset with and without jump diffusion

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A new predictor-corrector scheme for valuing American puts

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Penalty methods for American options with stochastic volatility

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4903538

@@ Property / Wikidata QID @@
+Q110124812
@@ Property / Wikidata QID: Q110124812 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
+Normal rank
@@ Property / cites work @@
+A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Implicit-explicit numerical schemes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Fast numerical valuation of American, exotic and complex options
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+A Front-Fixing Finite Element Method for the Valuation of American Options
+Normal rank
@@ Property / cites work @@
+Methods for Pricing American Options under Regime Switching
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for pricing American options under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Parabolic variational inequalities: the Lagrange multiplier approach
+Normal rank
@@ Property / cites work @@
+Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility
+Normal rank
@@ Property / cites work @@
+Variational inequalities and the pricing of American options
+Normal rank
@@ Property / cites work @@
+A semilinear equation for the American option in a general jump market
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
+Normal rank
@@ Property / cites work @@
+A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
+Normal rank
@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
+Normal rank
@@ Property / cites work @@
+Fast deterministic pricing of options on Lévy driven assets
+Normal rank
@@ Property / cites work @@
+Wavelet Galerkin pricing of American options on Lévy driven assets
+Normal rank
@@ Property / cites work @@
+Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Front-tracking finite difference methods for the valuation of American options
+Normal rank
@@ Property / cites work @@
+Optimal stopping, free boundary, and American option in a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Exponential time integration for fast finite element solutions of some financial engineering problems
+Normal rank
@@ Property / cites work @@
+Finite element solution of diffusion problems with irregular data
+Normal rank
@@ Property / cites work @@
+Efficient solution of a partial integro-differential equation in finance
+Normal rank
@@ Property / cites work @@
+An iterative method for pricing American options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+An exact and explicit solution for the valuation of American put options
+Normal rank
@@ Property / cites work @@
+A spectral element method to price European options. I. Single asset with and without jump diffusion
+Normal rank
@@ Property / cites work @@
+A new predictor-corrector scheme for valuing American puts
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank